Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0577
Annualized Std Dev 0.2690
Annualized Sharpe (Rf=0%) 0.2146

Row

Daily Return Statistics

Close
Observations 3408.0000
NAs 1.0000
Minimum -0.1680
Quartile 1 -0.0059
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0075
Maximum 0.1464
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0169
Skewness -0.6973
Kurtosis 12.7849

Downside Risk

Close
Semi Deviation 0.0126
Gain Deviation 0.0120
Loss Deviation 0.0145
Downside Deviation (MAR=210%) 0.0167
Downside Deviation (Rf=0%) 0.0124
Downside Deviation (0%) 0.0124
Maximum Drawdown 0.6953
Historical VaR (95%) -0.0243
Historical ES (95%) -0.0429
Modified VaR (95%) -0.0263
Modified ES (95%) -0.0567
From Trough To Depth Length To Trough Recovery
2008-06-18 2008-11-20 2018-09-20 -0.6953 2584 110 2474
2020-01-14 2020-03-23 2020-09-02 -0.3675 162 48 114
2018-10-04 2018-12-24 2019-06-27 -0.1835 183 56 127
2008-01-15 2008-01-23 2008-04-15 -0.1782 63 6 57
2007-11-07 2007-11-19 2007-12-05 -0.1126 20 9 11

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA 1.5 -3.4 2.1 0.1 0.2
2008 3 -2.4 1.8 1.4 1.2 -1.4 -2.6 -0.6 -1.6 3 -8.9 1.7 -5.9
2009 -1.5 0.8 2.8 4.2 2.7 0.5 0.5 -2.2 -3 -3.5 3 -0.6 3.4
2010 2.2 1.6 0.6 -1.3 -1.9 -0.1 1.6 2.4 0.5 -0.3 2.9 0.4 8.7
2011 3.1 -1.6 1.4 1.7 -2.4 0.4 0.1 -0.3 -3.5 -3.1 -0.3 0.4 -4.3
2012 1.6 1.3 1.1 1.3 -2.9 2.1 -0.3 1 0.8 1.2 -0.1 1.5 8.9
2013 0.6 -0.2 -0.8 -1.4 -2.3 0 0.7 0 0.8 0.5 0.2 0.4 -1.6
2014 -0.7 0.4 0 -0.2 -0.1 0.2 -0.3 -0.3 -1.7 1 -0.6 -0.7 -2.9
2015 -1.1 -0.1 0.7 2.5 -0.8 0.8 0.6 -3 -0.2 -0.4 0.8 -0.9 -1
2016 -0.2 1.9 0 -0.1 -0.1 0.1 -0.9 -0.1 0.7 0.3 0.5 0 2.1
2017 0.5 1.1 0 0 0.7 0.7 0.2 1.1 0.9 0.2 0 -0.1 5.2
2018 0.1 -1 2.1 -0.3 0.8 0.4 -1 0 0.2 2.6 0.2 0.7 5
2019 0 0.2 0.9 -0.8 -0.2 0.3 -0.5 0.2 -1.4 0.6 -0.6 0.6 -0.8
2020 -1.8 -0.4 -4 -2.9 0.8 0 -0.2 1.3 -0.9 -1.2 1.3 0.4 -7.6
2021 1.6 2.5 -0.3 NA NA NA NA NA NA NA NA NA 3.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-09-05  41.2 SPY    148. -0.0087   0.0283  0.0108   -0.0267    0.125    0.313    0.674 GLD    67.6  0.0018   0.03  
2 2007-09-06  41.4 SPY    148.  0.0023   0.0109  0.00240  -0.0065    0.125    0.321    0.654 GLD    68.9  0.0192   0.0422
3 2007-09-07  40.8 SPY    146. -0.0139  -0.0005 -0.0251   -0.0329    0.119    0.294    0.645 GLD    69.4  0.0077   0.0546
4 2007-09-10  40.8 SPY    146. -0.0019  -0.0122  0.0028   -0.0364    0.122    0.295    0.620 GLD    69.6  0.0033   0.0466
5 2007-09-11  41.4 SPY    147.  0.0117  -0.0107  0.0192   -0.0144    0.132    0.311    0.627 GLD    70.5  0.0129   0.0457
6 2007-09-12  41.8 SPY    148.  0.0026   0.0005  0.0182   -0.0265    0.134    0.308    0.612 GLD    70.5 -0.0009   0.0429
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart